the total volatility function in a continuous-time jump diffusion model …

Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market … with nonparametric estimates of the fractional differencing parameter d, for financial volatility. In this paper, a fully … volatility (SV-FIAR) model. Joint estimates of the autoregressive and fractional differencing parameters of volatility are found …

This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility …

of the volatility coefficient of a stochastic differential equation. We postulate a histogram-type prior on the … volatility with piecewise constant realisations on bins forming a partition of the time interval. The values on the bins are …

of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two … average realized volatility processes can achieve a convergence rate close to OP(n−4/9) , which is better than the convergence … based on average realized volatility processes indeed performs better than that based on the price processes. Empirically …

In order to better capture empirical phenomena, research on option price and implied volatility modeling increasingly … demonstrate the numerical stability and the pricing performance of our method by approximating arbitrage-free implied volatility …

contiguity adjustment, the pre-averaged process behaves as if one sampled from a semimartingale (with unchanged volatility) plus …

in stock return volatility using traditional time and spectral domain estimators of long memory. The definitive ubiquity … and existence of long memory in the volatility of stock returns is an established stylized fact. The presence of long … long memory in the Indian stock returns and returns volatility. We find the presence of long memory in the volatility of …